Research Seminar in Probability and Statistics I - #4

25 Outubro 2016, 18:29 Ana Maria Santos Ferreira Gorjão Henriques

On the peaks-over-threshold method in extreme value theory

Laurens de Haan (Erasmus University Rotterdam and Centro de Estatística e Aplicações da UL)

November 8 (Tue.), 11:00 - Room P3.10 (Math. Building, IST, Av. Rovisco Pais, 1049-001 Lisboa)


The origin, the development and the use of the peaks-over-threshold method (in particular in higher-dimensional spaces) will be discussed as well as some issues that need clarification.